中值无偏修正的预白化HAC法在伪回归中的应用

传统预白化HAC法存在有限样本偏差,使得平稳过程之间回归时存在伪回归.本文利用一阶和高阶的中值无偏估计对传统预白化HAC进行修正,通过修正的预白化HAC对t统计量标准误进行调整,从而进一步研究其在平稳过程之间伪回归中的适用性.研究表明:第一,中值无偏修正的预白化HAC法能减少长期方差的有限样本偏差并能降低伪回归概率;第二,修正的预白化HAC对持久性、GARCH类异方差和非正态随机新息等都具有稳健性.

The modified prewhitening HAC methods using median-unbiased estimation in spurious regression

It is known that the traditional prewhitening heteroscedasticity-autocorrelation consistent (HAC) methods have finite sample bias, leading to a spurious regression between stationary processes. This paper proposes a modified prewhitening HAC method by the first-order and higher-order median-unbiased estimation, and adjusts the standard error of t-statistics in OLS estimation through the modified prewhitening HAC methods, and reveals their applicability in spurious regression probability between stationary processes. The result shows that: first, the modified prewhitening HAC methods can reduce finite sample bias in long-run variance estimation; second, the modified HAC methods have a robustness property to persistence of data process, GARCH heteroscedasticity and non-normal innovations.